41 research outputs found
Factor returns and FOMC announcements: The role of sentiment
No full textWe examine the dynamics of long-short factor returns on FOMC announcement days and the role of sentiment. We find that factor returns are negative on FOMC announcement days. Moreover, on these days returns are significantly lower following low sentiment periods. Hence, investor sentiment is a key driver of factor returns on FOMC days and this effect emanates mainly from the short portfolio leg of each factor
Recent advances and applications in alternative investments Advances in finance, accounting, and economics (AFAE) book series./ [edited by] Constantin Zopounidis, Dimitris Kenourgios, George Dotsis.
No full textIncludes bibliographical references and index."This book explores theoretical and empirical advances and applications in alternative investments"--Chapter 1. Investing in commodities in times of uncertainty and lax monetary policy -- Chapter 2. Fed's unconventional monetary policy and correlation dynamics among conventional and alternative investments -- Chapter 3. The return performance of real estate investment trusts (REITs) and porfolio diversification benefits: evidence from the European market -- Chapter 4. On financial contagion through ETFs -- Chapter 5. Are exotic assets contagious?: evidence from the global financial crisis of 2007-2009 -- Chapter 6. The impact of unconventional monetary policies on unique alternative investments: the case of fine wine and rare coins -- Chapter 7. Gold's price and advanced stock markets: a post-crisis approach -- Chapter 8. Spillover volatility between fuel mix and electricity prices -- Chapter 9. Algorithmic trading and transaction costs -- Chapter 10. Innovation finance beyond bitcoin: cryptocurrencies as alternative investments -- Chapter 11. Crowdfunding: an innovative instrument for development finance and financial inclusion -- Chapter 12. A bibliometric analysis of ethical investments (EI) research: alternative investments -- Chapter 13. Islamic finance.1 online resource (xviii, 385 pages
A New Index of Option Implied Absolute Deviation
No full textThis paper proposes a new index of forward looking absolute deviation extracted from option prices. The new index, named absolute deviation index (ADIX), is model-free and easy to compute using at-the-money call and put option prices. It is shown that the spread between volatility index (VIX) and ADIX captures departures from normality in the risk-neutral distribution and an empirical analysis using S&P 500 options data for the time period 1996–2021 reveals that the spread carries significant forecasting ability with respect to future equity returns at short to medium horizons. Portfolio strategies that use the spread as a predictor of S&P 500 returns outperform buy-and-hold strategies in an out-of-sample mean-variance asset allocation exercise. © 2024 The Author(s). The Journal of Futures Markets published by Wiley Periodicals LLC
Islamic Finance
No full textThe Islamic finance industry is estimated around $1.7 trillion with substantial growth momentum over the past decades. It is now, particularly in the Middle and Far East, too important to be ignored. In this chapter we review the most salient features of Islamic finance, including the key differentiating features from the rest of the conventional financial universe. A significant volume of research focuses on the comparative performance of Islamic and conventional banks across a wide range of metrics, such as profitability, risk and efficiency. Islamic stock and bonds markets are also an important segment of the related comparative literature and we review these studies too. The aim of this chapter is to provide a comprehensive and up-to-date review of the extant literature, useful for academics and practitioners with little or significant experience in the Islamic finance sector
Option-implied expectations in commodity markets and monetary policy
No full textIn this paper we estimate the dynamic interactions between option-implied variance and skewness in agricultural commodity markets and monetary policy. Using a structural vector autoregressive (SVAR) framework, we find that an expansionary (contractionary) monetary policy upwardly (downwardly) revises commodity markets’ expectations about the price and volatility path of agricultural products. On the other hand, our empirical analysis reveals that monetary policy does not have a systematic and timely response to sudden changes in option implied expectations of commodity investors. In addition, we provide empirical evidence showing the robust forecasting power of agricultural option-implied information on monetary policy with R² values reaching almost 52%
Corridor Volatility Risk and Expected Returns
No full textThis paper examines the pricing of volatility risk using SPX corridor implied volatility. We decompose model‐free implied volatility into various components using different segments of the cross‐section of out‐of‐the money put and call option prices. We find that only model‐free volatility computed from the cross‐section of out‐of‐the‐money call option prices carries a significant negative risk premium in the cross‐section of stock returns and subsumes all relevant information for forecasting future volatility. Our empirical results provide strong evidence that SPX out‐of‐the money put option prices do not contain useful information for pricing aggregate volatility risk in the cross‐section of stock returns. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:488–505, 2016</jats:sec
